A finite difference scheme for conservation laws driven by Lévy noise

DOI10.1093/imanum/drx023zbMath1477.65137arXiv1604.07840OpenAlexW2964232312MaRDI QIDQ4555962

Vallet, Guy, Ujjwal Koley, Ananta K. Majee

Publication date: 23 November 2018

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.07840

zbMATH Keywords

error estimatesconservation lawsYoung measuresfinite difference schemesLévy noisestochastic entropy solution

Mathematics Subject Classification ID

Hyperbolic conservation laws (35L65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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